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Mis à jour le samedi 4 février 2012
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Voir les 28 annonces d'emploi de SELBY-JENNINGS
Vice President of IR/FX Exotic Derivatives, Quantitative Analyst, Tokyo, Japan-Salary $120,000-$140,000 USD
Top European investment bank seeks an experienced quantitative analyst for its IR/FX Exotics desk in Tokyo.
The bank is in a period of growth in the APAC region and is currently looking to bolster its IR/FX trading team in Tokyo.
The bank is seeking a Derivatives quant modeler with an excellent level of C++ and an IR/FX product background to help support its increased trading activity in Asia.
The bank is a top 3 European house and is renowned for having some of the most technical quant teams globally.
Within this role you will be working on a variety of FX model dynamics: term-structure models, semi-analytical calibration with IR models, local volatility, forward 3D PDE's, Monte-Carlo-based calibration and pricing methods.
The successful candidate will be expected to hit the floor running in the continuous development of the highly exotic analytics library, and working with the traders on a day to day basis providing industry leading quantitative support and derivative pricing models.
This is a highly mathematical based role, working with the traders on a day to day basis and being challenged to develop highly complex exotic models to build up the banks analytics library.
Qualifications:
-Experience on an IR/FX Exotic Derivative desk,
-High level of mathematical modelling ability: Stochastic calculus, Stochastic Volatility, Advanced PDE's. Local Volatility, Regression Modelling, Large Scale Monte Carlo Simulation,
-Experience in LIBOR, HJM, Hull-White, SABR and other relevant models,
-A top academic background to PhD, DEA level in a highly quantitative field: Mathematics, Computational Mathematics, Physics, Financial Engineering etc,
-A good level of programming ability: C++, C, Matlab, Java,
-Top communication skills.
To apply or for more information, please contact by mail.
www.selbyjennings.com
Apply by email.
Please do not modify the subject of the mail or your application will not be considered.
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